随着全球经济出现通货再膨胀的迹象，许多人都在问：“下一个泡沫会出现在黄金市场？中国房地产市场？新兴市场股市？还是其它什么地方？”简短的答案是：“不会。会。不会。政府债务。”
在我与卡门•莱因哈特(Carmen Reinhart)合著的有关金融危机历史的书中，我们发现，债务驱动型的房地产价格暴涨，往往是金融危机的一个先兆。反之，政府债务的持续激增则是后危机时期一个极其常见的特征。谈到可能不会出现泡沫的领域，大多数新兴市场未来十年的经济前景都将优于发达国家，而这些国家的央行非常可能希望继续对其外汇储备进行多样化调整。当然，其间出现巨大波动与修正都属正常现象。
但一个更深入的问题是，经济学家们是否真的具备察觉危险价格泡沫的能力。有太多文献都致力于探究价格泡沫在理论上是否可能存在。我应该知道这个问题的答案，因为我在职业生涯的早期曾对此有所研究。在典型的泡沫中，一种资产（例如一所房屋）的价格可以远远高于其“基本面”（例如估算房租的现值），只要市场预期其价格未来会更高。但随着价格飞涨，与基本面之间的差距越来越大，投资者就必须预期价格会以更快的速度增长，否则那种越来越疯狂的价格就是不理性的。在理论上，“理性”投资者应该意识到，不管每分钟会诞生多少个傻瓜，一旦房屋价格超过了全球收入，游戏就都结束了。从不可避免的价格崩盘向前倒推，投资者们应该意识到，催生泡沫的期望值链条是不合乎逻辑的，因此这些期望根本不会实现。对此你感到信服吗？当我还在就读研究生时，我知道自己对此深信不疑。
但接下来出现了一些相当聪明的理论家，他们注意到泡沫（在理论上）还是有可能存在的，前提是，在我们所生活的世界中，经风险因素调整后的长期实际利率低于经济的趋势增长率。从根本上讲，这种情况造成了一种可能性：即价格泡沫会以足够缓慢的速度增长，慢到房价永远不会超过全球GDP。哦，不。但很快又有实证研究让我们放下心来：我们并没有生活这样一个世界里。
科学继续发展。最终，经济学家们意识到，在充斥着非线性和不完美市场的现实世界环境中，从原则上将，同样的基本面因素可以支持类别截然不同的均衡。一切都取决于市场参与者如何调整自身的预期。原则上，价格能够突然且随意跃升，从一种均衡状态转到另一种均衡状态，就好像受到了太阳黑子的驱动。（我相信，这种自我实现的多重均衡理念，与乔治•索罗斯(George Soros)的“反身性”(reflexivity)理论关系相当紧密。）
事实证明，当政府的政策目标前后不一致时，反身性泡沫的问题会变得更为严重，而政府政策目标往往前后不一。例如，莫里斯•奥布斯菲尔德(Maurice Obstfeld)有一个著名的论断，证明了自我实现的投资者预期是如何压低固定汇率的。如果投资者以足够持久的力量团结起来，如果央行缺乏足够的恢复能力和资源，投资者就能够推翻一种固定汇率机制——若非如此，这种机制持续的时间可能会长得多。
真正的问题不在于传统经济学理论能否为泡沫的存在提供合理解释。对于投资者和决策者而言，真正的挑战，是如何觉察出具有系统危险性的偏离经济基本面的迹象，因为它们对于经济稳定性构成的威胁，不仅仅是价格的波动。正如莱因哈特和我所证明的那样，答案要在数百年的金融危机史中寻找，着重寻找杠杆率和资产价格迅速大幅升高的情况，一旦信心消退，这种激增现象就可能会突然崩溃。当股市泡沫破灭时，在牛市中赚钱的投资者通常会咽下损失的苦果，而世界则会艰难前行——2001年科技泡沫破灭后就是这样的场景。但当债券市场崩溃时，不可避免地会出现冗长乏味的讨论，主题是应该由谁来承担损失。不幸的是，债务（尤其是政府债务）的规模往往不为投资者所知，直到危机过后才会浮出水面。
在今天的中国，真正的问题在于，似乎没有人掌握有关政府债务分配情况的充分数据，更不用说了解其背后暗藏与公开的担保网络。但这算不上中国独有的问题。在全球各地，尽管公开发布的官方政府债务数据大幅增加，但出于政治权益考虑，巨额的表外担保与借贷依然晦莫如深。
时机的判断从来都难以把握，但即便全球市场出现上行趋势，要猜出泡沫会在哪里潜伏，也不是什么难事。
肯尼思•罗格夫是哈佛大学教授，（与卡门•莱因哈特）合著有《这次不同：八百年金融危机史》(This Time is Different: Eight Centuries of Financial Crises)一书。
译者/何黎
http://www.ftchinese.com/story/001032178
As the global economy reflates, many people are asking: “Is the next bubble in gold? Is it in Chinese real estate? Emerging market stocks? Or something else?” A short answer is: “No. Yes. No. Government debt.”
In my work on the history of financial crises with Carmen Reinhart, we find that debt-fuelled real estate price explosions are a frequent precursor to financial crises. A prolonged explosion of government debt is, in turn, an exceedingly common characteristic of the aftermath of crises. As for the probable non-bubbles, most emerging markets face better prospects in the decade ahead than the developed world, and their central banks will most likely want to continue diversifying their reserve holdings. Of course, huge volatility and corrections along the way are normal.
But a deeper question is whether economists really have any handle on ferreting out dangerous price bubbles. There is much literature devoted to asking whether price bubbles are possible in theory. I should know, I contributed to it early in my career. In the classic bubble, an asset (say a house) can have a price far above its “fundamentals” (say the present value of imputed rents) as long as it is expected to rise even higher in the future. But as prices soar ever higher above fundamentals, investors have to expect they will rise at ever faster rates to make sense of ever crazier prices. In theory, “rational” investors should realise that no matter how many suckers are born every minute, it will be game over when house prices exceed world income. Working backwards from the inevitable collapse, investors should realise that the chain of expectations driving the bubble is illogical and therefore it can never happen. Are you reassured? Back in my days as a graduate student, I know I was.
But then along came some rather clever theorists who noticed that bubbles might still be possible (in theory), if we lived in a world where the long-run, risk-adjusted real rate of interest is less than the trend growth rate of the economy. Basically, this condition raised the possibility that the bubble might grow slowly enough that houses would never cost more than world GDP. Oh, no. But there soon followed empirical research reassuring us that we did not live in such a land.
Science moves on. Eventually, economists realised that in a real-world setting replete with non-linearities and imperfect markets, the same set of fundamentals can, in principle, support entirely different classes of equilibria. It all depends on how market participants co-ordinate their expectations. In principle, prices can jump suddenly and randomly from one equilibrium to another as if driven by sunspots. (I believe this notion of self-fulfilling multiple equilibria is quite closely related to George Soros's notion of “reflexivity”.)
The problem of reflexive bubbles turns out to be even more acute when the government's policy objectives are inconsistent, as they so often are. For example, Maurice Obstfeld famously demonstrated how self-fulfilling investor expectations can bring down a fixed exchange rate. If investors gather with enough sustained force, and if the central bank lacks sufficient resilience and resources, investors can blow out a fixed exchange rate regime that might otherwise have lasted quite a while longer.
The real issue is not whether conventional economic theory can rationalise bubbles. The real challenge for investors and policymakers is to detect large, systemically dangerous departures from economic fundamentals that pose threats to economic stability beyond mere price volatility. The answer, as Ms Reinhart and I demonstrate, drawing on centuries of financial crises, is to look particularly for situations with large rapid surges in leverage and asset prices, surges that can suddenly implode if confidence fades. When equity bubbles burst, investors who made money in the boom typically swallow their losses and the world trudges on, for example after the bursting of the tech bubble in 2001. But when debt markets collapse, there inevitably follows a long drawn-out conversation about who should bear the losses. Unfortunately, all too often the size of debts, especially government debts, is hidden from investors until it comes jumping out of the woodwork after a crisis.
In China today, the real problem is that nobody seems to have very good data on how debt is distributed, much less an understanding of the web of implicit and explicit guarantees underlying it. But this is hardly a problem unique to China. Even as published official government debt soars, huge off-balance sheet guarantees and borrowings remain hidden for political expedience around the world.
The timing is difficult to call, as always, but even as the global markets trend up, it is not so hard to guess where bubbles might be lurking.
Kenneth Rogoff is is a professor at Harvard University, and co-author (with Carmen Reinhart) of This Time is Different: Eight Centuries of Financial Crises
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